Because it's Ultron. In the comics he was created by Hank Pym, he turned evil, the Avengers destroyed him, then he came back, he created the Vision to infiltrate them but then he became an Avenger, and on and on and on it goes.

This character can't just show up and proclaim it's evil. Imagine if Avengers came before Thor and Loki was still the bad guy, how would we have thought of it? Ultron has too great of a history to just try and be explained in one movie.